Spydertrader's Jack Hershey Futures Trading Journal

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For every winner there is a loser. YOU ARE WELCOME !

The gaussians and the market totally confused me today. Plenty of small losses and reversals.

My annotated RT chart and trades is a good example of how NOT to trade.

I need a good debriefing tonight.
 

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Here's my ES chart for today. I had some trouble with the 13:20 - 14:30 rather persistant downtrend that kept signaling FTT up. I wasn't quick enough getting back on the right side, especially after the 14:05 FTT. That was a tough one.

Otherwise mostly ok. Not an easy day though.
 

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I use to trade stocks like this, always gravitating towards the "stale size" or non pro-active buyers/sellers. Obviously agressive sellers and buyers who came into the mkt new I traded in front of (and rode their momentum) but the passive buyers and sellers I looked to trade through their size. It wasnt the absolute #s of shares that I reacted to but how they appeared to be participating within the context of the day or specific time period. I see a lot of the same stuff here in the ES, although its at a faster pace. Alot of times, when I anticipate a turning point I look on the DOM and I'll see the bid get wiped out and someone steps down and flashes 4K or whatever and then disappears. All things being equal, I keep this in my mind that he is there and its amazing how often that guy reappears shortly thereafter and drives the price lower. Of course there are a lot of other games of flashing here and there but I am seeing that at these critical turning points, the size players tip their hand. I will keep watching to see how consistent this phenomena is.

Quote from mark1:

This is an interesting thread which describes the counterintuitive phenomenon you often see in the DOM (price going toward the largest cumulative volume).

It is used just for a couple ticks scalp.
Unfortunately even in that thread, there's not a definitive answer (why the heck does it happen?)


www.elitetrader.com/vb/showthread.php?s=&threadid=68098&highlight=acv
More...
 
Quote from Pepe:

Hi Pr0,

It isn't because of a 'wall' in the Ask or in the Bid that will 'attract' demand by itself. It is (for what I see) because of the total cumulative volume. Sometimes you can see one 'Wall' at Bid for instance but the highest CV is at the Ask side.
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Pepe,

First wanted to clarify terms. By "cumulative volume" you're referring to the total orders on the 1st 5 levels of the DOM.

Just to nit pick, I don't believe there is a loser on the other side of every trade, as I can sell a contract to Pr0 at 1540, he can sell to Spyder at 1445, who can sell to you at 1450 and so on. We could go way off track with that, but also consider the producer of the contract.

Back to the DOM, we only see the 1st 5 levels. more comes into view as we move. I think everyone agrees that the market has to move to the side that gets eaten up or pulled. If you see 300BB and 600BA, and someone hits the Ask with 600 it's going up. If the larger side is getting eaten up you'll see it on the T&S.

I know what some of you are getting at as I've also witnessed more than 2 to 1 on the ask, only to see the market start running up fast. You see why on the T&S, as a lot of size is coming in and/or orders getting pulled. It all tells you something.

A couple things to consider, once all that volume is done what's gonna happen? Is it running fast or slow? Where are you in the channel?

Regards - EZ
 
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